March 2022 Model Performance Report

Research Signals - March 2022

• US: Our models over the US Large Cap universe struggled during the month. Most models had a negative performance, with the Price Momentum model being flat. Our models over the US Small Cap universe also struggled during the month.
• Developed Europe: Over the Developed Europe universe, our Earnings Momentum model returned 3.35% on a one month decile return spread basis, while Value Momentum lagged.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 2.00%, while the Value Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 21.68%.
• Emerging Markets: Within the Emerging Markets universe, our Price Momentum model returned 6.52% on one month quintile return spread basis. The rest of the models within the universe had positive returns as well. The Price Momentum model's one year cumulative performance is still the highest for the EM universe at 19.77%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 1.30%. The Energy sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -7.90%. The Energy sector had a favorable ranking and the Tech sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 5.50%. The Healthcare sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Oil and Gas and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 1.64% and 0.90%, respectively, while the Technology and the Insurance models struggled. The Insurance model's one year cumulative performance is the highest at 35.93% while the Oil and Gas model's performance is the lowest at 5.29%.

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This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.